We compared performance of past ‘winners' and past ‘losers' over the look-ahead period of one month for various portfolios that consist of the US ETFs and the holdings of the US equity Select Sector SPDRs in 2007 – 2017 and 2011 - 2017. Namely, we verified the conventional pattern...

Using web search data obtained with Google Trends, we found that some companies among the S&P 500 constituents have persistently high search scores. Many of these companies provide consumer products/services. Mean-variance optimal portfolios composed of these companies have significantly...

It is found that partial correlations between 12 major US equity sector ETFs conditioned on the state of economy (mimicked here by the S&P 500 index) are significantly lower than the Pearson's correlations. The Markowitz mean-variance portfolio theory is modified in terms of partial covariance....

Impact of major macroeconomic announcements on the daily trading volumes of several US ETFs is examined for the period of January 2004-April 2014. An ARIMA model with external factors that describe the announcement events is used. It is found that several macroeconomic announcements,...

We discuss various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk-adjusted return and loss of the trading strategy. We consider two long portfolios hedged by the SPDR S&P 500 ETF (SPY) that mimics the S&P 500 index. The first portfolio...

We examine returns of several US equity ETFs on the days of 18 major macroeconomic announcements for the period of January 2009 – July 2013. The ARMA GARCH model with external regression terms that describe announcement events and their surprises is used. We find that ISM Manufacturing...